I decided to do it with my last pregnancy, and was very happy I did. I did have a positive screen, and had an amnio, but in the end everything was fine. I knew in my heart that I couldn't be pressured into terminating if something were wrong, and in fact that was the farthest thing from my mind. I would never have aborted my pregnancy at that stage, all I wanted was to know. My concerns were more stressful for me than I felt knowing something was wrong would have been. But I'm the type of person who would rather know and be emotionally prepared than wonder.
The triple screen does only test for three things though, all of which are compatible with life (although Trisomy 18 babies don't usually make it to a year). So while even combined with the amnio it is not a perfect test, and cannot guarantee you a healthy baby, it will tell you about major abnormalities that can't always be seen on U/S.
A suggestion though, if you do decide to do prenatal screening, I would ask about if your area has IPS available. This test (Integrated Prenatal Screening) combines two blood tests (similar to the triple-screen) with a nuchal translucency ultrasound. While the triple-screen alone has a 20% false positive and false negative rate, the IPS has a 3.5% FP and a 5% FN.
Good luck with your decision, if you'd like any more answers or personal experiences that I can help you with, let me know.